sharpe-ratio-optimization

Machine Learning portfolio optimization : Ridge, LogisticRegressions,LightGBM, XGBoost , Black-litterman , CVaR Efficient , Sortino, calmar, Sharpe maximization. Python/scikit-learn/PyPortfolioOpt

Hyper-efficient Offline Recurrent Reinforcement Learning Algorithm. It solves decision path of any length without sequential processing. Implemented for Sharpe Ratio optimization as a base problem.

Markowitz mean-variance portfolio optimisation - efficient frontier, max-Sharpe & min-variance portfolios (ASX + global, Python).